Related papers: High-Dimensional Estimation, Basis Assets, and the…
The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) algorithm to find those basis assets significantly related to…
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta…
In applications of Gaussian processes where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. Normally, this is done by…
The Adaptive Multiple Importance Sampling (AMIS) algorithm is aimed at an optimal recycling of past simulations in an iterated importance sampling scheme. The difference with earlier adaptive importance sampling implementations like…
The paper proposes a new asset pricing model -- the News Embedding UMAP Selection (NEUS) model, to explain and predict the stock returns based on the financial news. Using a combination of various machine learning algorithms, we first…
Hierarchical Bayesian Poisson regression models (HBPRMs) provide a flexible modeling approach of the relationship between predictors and count response variables. The applications of HBPRMs to large-scale datasets require efficient…
This paper presents a new class of adaptive filters, namely Geometric-Algebra Adaptive Filters (GAAFs). They are generated by formulating the underlying minimization problem (a deterministic cost function) from the perspective of Geometric…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
Despite the frequent use of agent-based models (ABMs) for studying social phenomena, parameter estimation remains a challenge, often relying on costly simulation-based heuristics. This work uses variational inference to estimate the…
This paper proposes a data-adaptive factor model (DAFM), a novel framework for extracting common factors that explain the structures of high-dimensional data. DAFM adopts a composite quantile strategy to adaptively capture the full…
Feature-based image matching has extensive applications in computer vision. Keypoints detected in images can be naturally represented as graph structures, and Graph Neural Networks (GNNs) have been shown to outperform traditional deep…
This paper proposes a new procedure to validate the multi-factor pricing theory by testing the presence of alpha in linear factor pricing models with a large number of assets. Because the market's inefficient pricing is likely to occur to a…
Traditional model-based reinforcement learning approaches learn a model of the environment dynamics without explicitly considering how it will be used by the agent. In the presence of misspecified model classes, this can lead to poor…
The Adaptive Multilevel Splitting (AMS) algorithm is a powerful and versatile method for the simulation of rare events. It is based on an interacting (via a mutation-selection procedure) system of replicas, and depends on two integer…
This paper introduces Adaptive Mixture Importance Sampling (AMIS) as a novel approach for optimizing key performance indicators (KPIs) in large-scale recommender systems, such as online ad auctions. Traditional importance sampling (IS)…
This paper introduces a novel graph-based filter method for automatic feature selection (abbreviated as GB-AFS) for multi-class classification tasks. The method determines the minimum combination of features required to sustain prediction…
As artificial intelligence methods are increasingly applied to complex task scenarios, high dimensional multi-label learning has emerged as a prominent research focus. At present, the curse of dimensionality remains one of the major…
Generative Bayesian Filtering (GBF) provides a powerful and flexible framework for performing posterior inference in complex nonlinear and non-Gaussian state-space models. Our approach extends Generative Bayesian Computation (GBC) to…
This paper exploits Geometric (Clifford) Algebra (GA) theory in order to devise and introduce a new adaptive filtering strategy. From a least-squares cost function, the gradient is calculated following results from Geometric Calculus (GC),…
We develop amortized population Gibbs (APG) samplers, a class of scalable methods that frames structured variational inference as adaptive importance sampling. APG samplers construct high-dimensional proposals by iterating over updates to…